A boundary point lemma for Black-Scholes type operators
Analysis of PDEs
2008-12-02 v1 Pricing of Securities
Abstract
We prove a sharp version of the Hopf boundary point lemma for Black-Scholes type equations. We also investigate the existence and the regularity of the spatial derivative of the solutions at the spatial boundary.
Keywords
Cite
@article{arxiv.math/0509231,
title = {A boundary point lemma for Black-Scholes type operators},
author = {Erik Ekström and Johan Tysk},
journal= {arXiv preprint arXiv:math/0509231},
year = {2008}
}
Comments
10 pages